Authorised participants as shock absorbers in fixed-income ETFs

Matteo Aquilina, Karen Croxson, Gian Giacomo Valentini and Zhuowei Sun

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: This paper uses unique regulatory propriety data to analyse ETF secondary markets from a financial stability perspective. We find that ETF secondary markets are somewhat concentrated, but that a subset of Authorised Participants are active in both primary and secondary markets and act as a buffer between these. Only around a third of the net selling pressure in the secondary market manifests in redemptions in the primary market and this result holds across observed periods of mild market stress. However, the high yield fixed income segment may be more fragile during periods of stress.

Keywords: Fixed income ETF; Financial stability (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323002696
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002696

DOI: 10.1016/j.frl.2023.103897

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().